Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.3673 |
| Annualized Std Dev | 0.4424 |
| Annualized Sharpe (Rf=0%) | -0.8302 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2933.0000 |
| NAs | 1.0000 |
| Minimum | -0.2512 |
| Quartile 1 | -0.0149 |
| Median | -0.0024 |
| Arithmetic Mean | -0.0014 |
| Geometric Mean | -0.0018 |
| Quartile 3 | 0.0109 |
| Maximum | 0.2158 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | -0.0024 |
| UCL Mean (0.95) | -0.0004 |
| Variance | 0.0008 |
| Stdev | 0.0279 |
| Skewness | 0.0172 |
| Kurtosis | 7.9840 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0193 |
| Gain Deviation | 0.0213 |
| Loss Deviation | 0.0195 |
| Downside Deviation (MAR=210%) | 0.0248 |
| Downside Deviation (Rf=0%) | 0.0200 |
| Downside Deviation (0%) | 0.0200 |
| Maximum Drawdown | 0.9984 |
| Historical VaR (95%) | -0.0414 |
| Historical ES (95%) | -0.0648 |
| Modified VaR (95%) | -0.0426 |
| Modified ES (95%) | -0.0606 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2021-03-17 | NA | -0.9984 | 2501 | 2498 | NA |
| 2008-10-28 | 2008-11-04 | 2008-11-19 | -0.3322 | 17 | 6 | 11 |
| 2008-07-16 | 2008-09-08 | 2008-10-03 | -0.2633 | 57 | 38 | 19 |
| 2008-03-18 | 2008-05-15 | 2008-07-02 | -0.2421 | 75 | 42 | 33 |
| 2008-10-13 | 2008-10-13 | 2008-10-15 | -0.1638 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | -1.2 | -0.5 | -0.9 | -1.3 | -0.1 | -0.2 | -3.5 | -1.1 | 6 | -2.4 | 1.2 | -4.3 |
| 2008 | -3.2 | 5.4 | -7.4 | -5.6 | 0.6 | -0.1 | 1 | 1.8 | 1 | -6 | 15.7 | -4.3 | -3.1 |
| 2009 | 5.7 | -0.5 | -3.2 | 0.7 | -7.9 | -0.4 | 0.4 | 3.2 | 3.7 | 4.8 | -2.7 | 2.1 | 5.2 |
| 2010 | -2 | -2.8 | -1.2 | 3.5 | 2.6 | -0.8 | -1.1 | -6.4 | -0.3 | 0.1 | -3.4 | 0.5 | -11.1 |
| 2011 | -3.3 | 3.3 | -1.2 | 0.1 | 3.9 | -3.5 | 1.5 | 2.3 | 4.3 | 3.8 | -0.3 | 0.7 | 11.8 |
| 2012 | -1.7 | -0.8 | -0.8 | -1 | 5.4 | -4.2 | 1.7 | -0.8 | -1.8 | -1.7 | -0.9 | -1.4 | -8.1 |
| 2013 | -1.1 | -0.8 | 0.7 | 0 | 0.2 | -0.9 | -0.6 | 1.6 | -1.4 | 0.6 | -0.8 | -0.6 | -3 |
| 2014 | 1.6 | -0.3 | -1.8 | -1.2 | -0.2 | -2.2 | 0.1 | -0.2 | 3.9 | -2.7 | -1.9 | -1.3 | -6.2 |
| 2015 | 0.2 | -0.9 | 3.6 | -2.2 | 0 | -1.4 | -5.6 | 5 | 5.4 | -1 | 1.6 | -1.5 | 2.7 |
| 2016 | -6.5 | -1.3 | 0.7 | 0.4 | -0.6 | -1.9 | 0.4 | -0.2 | -0.8 | -1.2 | -3 | 1.1 | -12.3 |
| 2017 | -0.9 | -0.6 | -0.8 | -1.8 | -6.9 | 1.1 | -0.1 | 2.2 | -0.7 | -1.5 | 1.9 | 0.5 | -7.6 |
| 2018 | -4.2 | -4.8 | 6.1 | -3.1 | -1.4 | 1.3 | 0.3 | -1.5 | -1.4 | -4 | -2 | -1.3 | -15.1 |
| 2019 | 2.6 | -1 | -2.2 | 1.3 | 2.3 | -1.7 | 2 | 0.1 | 1.1 | -1.3 | 0.9 | 0.1 | 4.1 |
| 2020 | -1 | 3.3 | 8.8 | 7.4 | -1.5 | -4.3 | -1 | -2.3 | -3 | 5.9 | -2.5 | -0.1 | 9.1 |
| 2021 | -3.2 | -3.2 | -1.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -8.1 |
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Price Chart
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Rolling Performance Chart
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Snail Trail Chart
